Option Pricing Under Incompleteness and Stochastic Volatility (Q4345929): Difference between revisions

@@ Property / author @@
-Martin Schweizer
@@ Property / author: Martin Schweizer / rank @@
-Normal rank
@@ Property / author @@
+Martin Schweizer
@@ Property / author: Martin Schweizer / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9965.1992.tb00027.x
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+W1999013111
@@ Property / OpenAlex ID: W1999013111 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+Q3985737
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+Martingales and arbitrage in multiperiod securities markets
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+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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+An Intertemporal Capital Asset Pricing Model
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+Mean-variance hedging for general claims
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+Option hedging for semimartingales
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@@ links / mardi / name / links / mardi / name @@
+Publication:4345929